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Pólygamma Data Augmentation to address Non-conjugacy in the Bayesian Estimation of Mixed Multinomial Logit Models (1904.07688v1)

Published 13 Apr 2019 in stat.ML, cs.LG, econ.EM, and stat.AP

Abstract: The standard Gibbs sampler of Mixed Multinomial Logit (MMNL) models involves sampling from conditional densities of utility parameters using Metropolis-Hastings (MH) algorithm due to unavailability of conjugate prior for logit kernel. To address this non-conjugacy concern, we propose the application of P\'olygamma data augmentation (PG-DA) technique for the MMNL estimation. The posterior estimates of the augmented and the default Gibbs sampler are similar for two-alternative scenario (binary choice), but we encounter empirical identification issues in the case of more alternatives ($J \geq 3$).

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